Now after all my complaining I found another way around this.
I went to walmart and bought a router for 29.95. Belkin G54/N150 Wifi N router.
Now I'll tell you how to get this to work in a hotel.
1) Plug your Surface Pro 3 into the either jack using a usb Ethernet adopter. You should already have this if your trying to create a wifi hot spot.
2) Turn it on and then bring the charm up by swiping right to left from the right side of the screen.
Click settings and you should see the either net connected.
3) start your browser (if it doesn't come up automatically) and login to the hotel wifi through the browser.
4) After you have connected and your browser is working shut down.
5) Now take the Ethernet cable plug it into the Modem Port of the router.
6) Take another Ethernet cable and plug that in from your Ethernet adopter to any open Ethernet port on the back of the router.
7) Turn the router on.
8) Turn you Surface pro on
9) open your browser and you should go right to the setup software of the router.
10) Give it and different SSID and Password that you will remember
11) Click on advanced settings
12) Click on clone computer MAC address.
13) Click save and the router will reboot and connect directly to the hotel internet.
14) Turn the Surface Pro off and unplug the USB Ethernet adopter
15) Turn on your surface Pro
16) Bring up the charm, click settings
17) See your router SSID and chose it to connect to.
18) Put in your password and you are connected
19) Start your browser and it all should work.
20) Start up your Roku and goto network settings
21) Connect to your wireless router and put in the password.
Now you don't have to leave your laptop on all the time to have a wifi hotspot. You have your own wireless router working through the hotels Ethernet giving you access to the internet. You can also connect any other devices you have to your router and not pay the hotel extra money for wifi access for more than one device.
Bottom line is, the problem with the Surface Pro 3 is a blessing in disguise. I would leave my other laptops on all night long. Now I don't have to worry about burning it out. And when the router does finally break (many years later) I'll just spend another $30.
If you travel like I do, this will be a blessing to you as well.
Hope this helps anyone who had the same problem I did.
Now I guess I'll keep my Surface Pro 3. Other than this issue, this thing is cool and everything else works just great.
Microsoft, I just bought you some time to fix this internet sharing issue.